I got a short question regarding calculating the value-weighted return of portfolios.
The portfolio is constructed based on the value of a certain criteria on date 31.1 (Jan 31st). The return for the constructed portfolio is calculated as: the closing price on 28.2 divided by the closing price on 31.1 (as it is also the opening price on 1.2). Which market-capitalization do I chose to weight the individual returns of the companies? Market-capitalization on the day of portfolio construction or the last day of the month in which I calculate the monthly return?